AlexIoannides / pymc-stochastic-processLinks
Bayesian Inference and parameter estimation in quant finance.
☆42Updated 6 years ago
Alternatives and similar repositories for pymc-stochastic-process
Users that are interested in pymc-stochastic-process are comparing it to the libraries listed below
Sorting:
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆74Updated 7 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- ☆18Updated 5 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 3 years ago
- ☆10Updated 8 years ago
- Rapid large-scale fractional differencing with NVIDIA RAPIDS and GPU to minimize memory loss while making a time series stationary. 6x-40…☆56Updated 5 years ago
- Files for Python Talk☆24Updated 9 years ago
- Stochastic volatility models☆18Updated 6 years ago
- Python Copula Module☆43Updated 2 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated 2 years ago
- Detecting critical transitions in financial networks with topological data analysis.☆16Updated 6 years ago
- Model Calibration with Neural Networks☆47Updated 7 years ago
- Mueen-Keogh Algorithm for finding timeseries motifs☆21Updated 4 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆110Updated 2 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Generate stochastic processes using Python. Unfortunately not maintained any longer =(☆111Updated 10 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated last year
- awesome-financial-networks☆35Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated last year
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- L1 Trend Filtering☆19Updated last year
- Supervised forecasting of sequential data in Python.☆55Updated 6 years ago
- ☆14Updated 5 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 7 years ago
- The lite version of the package pydlm. A lite yet powerful Bayesian dynamic modeling library☆12Updated 6 years ago
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- Labels calculation&visualisation - comes with a small BTC/USDT database. Part of my research. Integral part of: https://arxiv.org/abs/201…☆26Updated 2 years ago